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Intraday patterns in the S&P 500 index futures market · Study

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ArticleIntraday patterns in the S&P 500 index futures market

Peter Daniel Ekman1992

Article1992

Intraday patterns in the S&P 500 index futures market

Peter Daniel Ekman

65 citations·0/0 files stored·Journal of Futures Markets

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Stock Market Forecasting Methods

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References

1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders 1988A Theory of Intraday Patterns: Volume and Price Variability 1987The Relation Between Price Changes and Trading Volume: A Survey 1986Stock return variances 1986A transaction data study of weekly and intradaily patterns in stock returns 1988The Dependence between Hourly Prices and Trading Volume 1985An Investigation of Transactions Data for NYSE Stocks 1985An Investigation of Transactions Data for NYSE Stocks

Cited by

1994An intraday analysis of Bid‐Ask spreads and price volatility in the S&P 500 index futures market 2000Intraday price reversals for index futures in the US and Hong Kong 2004Intraday price reversals in the US stock index futures market: A 15-year study 2004The impact of electronic trading on bid‐ask spreads: Evidence from futures markets in Hong Kong, London, and Sydney 1995Standard & Poor's 500 Index Futures Volatility and Price Changes Around the New York Stock Exchange Close

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1997High frequency data in financial markets: Issues and applicationsarticle · 8 shared references 2004Intra Day Bid‐Ask Spreads, Trading Volume and Volatility: Recent Empirical Evidence from the London Stock Exchangearticle · 8 shared references 1999Symposium on Market Microstructure: A Review of Empirical Researcharticle · 8 shared references 1994Public Information Arrivalarticle · 7 shared references 1996THE EMPIRICAL RELATIONSHIP BETWEEN TRADING VOLUME, RETURNS AND VOLATILITYarticle · 7 shared references 1992Trading noise, adverse selection, and intraday bid‐ask spreads in futures marketsarticle · 7 shared references

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Year1992

Typearticle

Published1992-08-01

VenueJournal of Futures Markets

ISSN-L0270-7314

Languageen

Citations65

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1002/fut.3990120402

openalex_workW2034064628

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